27
H index
53
i10 index
3609
Citations
Luc Bauwens : Citation Profile
Université Catholique de Louvain | RESEARCH PRODUCTION: 55 Articles 187 Papers 1 Books 3 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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39 years (1983 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Luc Bauwens. | Is cited by:
| Cites to:
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Main data
Where Luc Bauwens has published?
Recent works citing Luc Bauwens (2022 and 2021)
| Year | Title of citing document | |
|---|---|---|
| 2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05. Full description at Econpapers || Download paper | |
| 2022 | A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01. Full description at Econpapers || Download paper | |
| 2021 | A GARCH Tutorial with R. (2021). Perlin, Marcelo ; Vancin, Daniel Francisco ; Mastella, Mauro ; Ramos, Henrique Pinto. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:25:y:2021:i:1:1420. Full description at Econpapers || Download paper | |
| 2021 | Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach. (2021). Sahoo, Malayaranjan ; Mishra, Amritkant ; Srivastava, Purwa ; Gupta, Mohini. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:105-120. Full description at Econpapers || Download paper | |
| 2021 | Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004. Full description at Econpapers || Download paper | |
| 2021 | Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587. Full description at Econpapers || Download paper | |
| 2021 | State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060. Full description at Econpapers || Download paper | |
| 2022 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper | |
| 2021 | Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:1912.09002. Full description at Econpapers || Download paper | |
| 2021 | Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545. Full description at Econpapers || Download paper | |
| 2022 | Machine Learning Classification of Price Extrema Based on Market Microstructure Features: A Case Study of S&P500 E-mini Futures. (2020). Arnaboldi, Luca ; Sokolovsky, Artur. In: Papers. RePEc:arx:papers:2009.09993. Full description at Econpapers || Download paper | |
| 2021 | Improved ACD-based financial trade durations prediction leveraging LSTM networks and Attention Mechanism. (2021). Li, BO ; Long, Wen ; Dai, Wei ; Shi, Yong. In: Papers. RePEc:arx:papers:2101.02736. Full description at Econpapers || Download paper | |
| 2021 | Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693. Full description at Econpapers || Download paper | |
| 2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper | |
| 2021 | State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404. Full description at Econpapers || Download paper | |
| 2021 | Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122. Full description at Econpapers || Download paper | |
| 2021 | Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCH. (2021). Dutta, Abhishek ; Mehtab, Sidra ; Sen, Jaydip. In: Papers. RePEc:arx:papers:2105.13898. Full description at Econpapers || Download paper | |
| 2021 | Price graphs: Utilizing the structural information of financial time series for stock prediction. (2021). Chen, Xueyuan ; Xu, KE ; Wu, Junran ; Zhao, Jichang ; Li, Shangzhe. In: Papers. RePEc:arx:papers:2106.02522. Full description at Econpapers || Download paper | |
| 2021 | Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518. Full description at Econpapers || Download paper | |
| 2021 | The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298. Full description at Econpapers || Download paper | |
| 2021 | Closed-form portfolio optimization under GARCH models. (2021). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2109.00433. Full description at Econpapers || Download paper | |
| 2021 | On a quantile autoregressive conditional duration model applied to high-frequency financial data. (2021). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Papers. RePEc:arx:papers:2109.03844. Full description at Econpapers || Download paper | |
| 2021 | Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761. Full description at Econpapers || Download paper | |
| 2021 | Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300. Full description at Econpapers || Download paper | |
| 2021 | Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376. Full description at Econpapers || Download paper | |
| 2022 | CTMSTOU driven markets: simulated environment for regime-awareness in trading policies. (2022). Balch, Tucker ; Moulin, Aymeric ; Amrouni, Selim. In: Papers. RePEc:arx:papers:2202.00941. Full description at Econpapers || Download paper | |
| 2022 | Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197. Full description at Econpapers || Download paper | |
| 2022 | Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351. Full description at Econpapers || Download paper | |
| 2022 | Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285. Full description at Econpapers || Download paper | |
| 2022 | Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806. Full description at Econpapers || Download paper | |
| 2022 | A Multivariate Spatial and Spatiotemporal ARCH Model. (2022). Otto, Philipp. In: Papers. RePEc:arx:papers:2204.12472. Full description at Econpapers || Download paper | |
| 2022 | An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772. Full description at Econpapers || Download paper | |
| 2022 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
| 2022 | Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. Full description at Econpapers || Download paper | |
| 2022 | Estimating value at risk: LSTM vs. GARCH. (2022). Schmidt, Thorsten ; Safarveisi, Sajad ; Pitera, Marcin ; Ormaniec, Weronika. In: Papers. RePEc:arx:papers:2207.10539. Full description at Econpapers || Download paper | |
| 2022 | Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952. Full description at Econpapers || Download paper | |
| 2022 | Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605. Full description at Econpapers || Download paper | |
| 2022 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper | |
| 2023 | A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs. (2023). Khorrami, Farshad ; Krishnamurthy, Prashanth ; Fu, Hao ; Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2301.10869. Full description at Econpapers || Download paper | |
| 2021 | PATTERNS AND DETERMINANTS OF INTRA-INDUSTRY TRADE IN AGRI-FOOD PRODUCTS BETWEEN BOSNIA AND HERZEGOVINA AND CEFTA 2006. (2021). Salkica, Mirela Abidovi ; Kastratovi, Radovan ; Brki, Snjeana. In: Economic Annals. RePEc:beo:journl:v:66:y:2021:i:229:p:7-36. Full description at Econpapers || Download paper | |
| 2021 | Interdependence among West African stock markets: A dimension of regional financial integration. (2021). Kalu O., Emenike. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:288-299. Full description at Econpapers || Download paper | |
| 2021 | Depth and breadth relevance in citation metrics. (2021). Tol, Richard ; Stern, David. In: Economic Inquiry. RePEc:bla:ecinqu:v:59:y:2021:i:3:p:961-977. Full description at Econpapers || Download paper | |
| 2021 | AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614. Full description at Econpapers || Download paper | |
| 2022 | Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787. Full description at Econpapers || Download paper | |
| 2022 | State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124. Full description at Econpapers || Download paper | |
| 2022 | On the Relationship between Uhlig Extended and beta?Bartlett Processes. (2022). Irie, Kaoru ; Pea, Victor. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:147-153. Full description at Econpapers || Download paper | |
| 2022 | Stationarity and ergodicity of Markov switching positive conditional mean models. (2022). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:436-459. Full description at Econpapers || Download paper | |
| 2022 | Dynamic correlation between crude oil and agricultural futures markets. (2022). Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:3:p:1798-1849. Full description at Econpapers || Download paper | |
| 2022 | Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922. Full description at Econpapers || Download paper | |
| 2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05. Full description at Econpapers || Download paper | |
| 2023 | Stock Market Liquidity during Periods of Distress and its Implications: Evidence from International Financial Markets. (2023). Enow, Samuel Tabot. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-01-1. Full description at Econpapers || Download paper | |
| 2022 | Do Energy and Gold Markets Interact with Islamic Stocks? Evidence from the Asia-Pacific Markets. (2022). Usmonov, Jaloliddin ; Mukhamedov, Farkhod ; Avazkhodjaev, Salokhiddin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-03-21. Full description at Econpapers || Download paper | |
| 2021 | Assessing the performance of deep learning models for multivariate probabilistic energy forecasting. (2021). Honkapuro, Samuli ; Kaarna, Arto ; Lensu, Lasse ; Kuronen, Toni ; Mashlakov, Aleksei. In: Applied Energy. RePEc:eee:appene:v:285:y:2021:i:c:s0306261920317748. Full description at Econpapers || Download paper | |
| 2021 | Spillover across sovereign bond markets between the US and ASEAN4 economies. (2021). Nguyen, Huy Toan ; Yiu, Matthew S ; Tsang, Andrew. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000725. Full description at Econpapers || Download paper | |
| 2021 | Testing for international business cycles: A multilevel factor model with stochastic factor selection. (2021). Pozzi, Lorenzo ; Everaert, Gerdie ; Berger, Tino. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000695. Full description at Econpapers || Download paper | |
| 2021 | Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Nekhili, Ramzi ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:73-96. Full description at Econpapers || Download paper | |
| 2021 | Identifying the role of consumer and producer price index announcements in stock index futures price changes. (2021). Zhao, Weidong ; Huang, Yuan ; Fang, XI ; Liu, Guofang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:87-101. Full description at Econpapers || Download paper | |
| 2021 | Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?. (2021). Rude, James ; Qiu, Feng ; An, Henry. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001413. Full description at Econpapers || Download paper | |
| 2021 | On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting. (2021). Costantini, Mauro ; Paradiso, Antonio ; Casarin, Roberto. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002339. Full description at Econpapers || Download paper | |
| 2022 | Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881. Full description at Econpapers || Download paper | |
| 2022 | Market regime detection via realized covariances. (2022). Ciciretti, Vito ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000785. Full description at Econpapers || Download paper | |
| 2022 | Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602. Full description at Econpapers || Download paper | |
| 2022 | Extreme risk spillovers across financial markets under different crises. (2022). Cao, Yufei. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002656. Full description at Econpapers || Download paper | |
| 2023 | A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194. Full description at Econpapers || Download paper | |
| 2021 | Evidence on time-varying inflation synchronization. (2021). Szafranek, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:1-13. Full description at Econpapers || Download paper | |
| 2021 | Disagreement on sunspots and soybeans futures price. (2021). Yu, Xiaohua ; Feil, Jan-Henning ; Wang, Hanjie. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:385-393. Full description at Econpapers || Download paper | |
| 2021 | Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. (2021). Ng, Kooi-Huat ; Koh, You-Beng ; Tan, Chia-Yen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000164. Full description at Econpapers || Download paper | |
| 2021 | The interrelationship between order flow, exchange rate, and the role of American economic news. (2021). Wang, Xiangning ; Firouzi, Shahrokh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001121. Full description at Econpapers || Download paper | |
| 2022 | Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction. (2022). Gao, Tianqing ; Mei, Xiaowen ; Pan, Qunxing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001947. Full description at Econpapers || Download paper | |
| 2022 | Trade friction and price discovery in the USD–CAD spot and forward markets. (2022). Xu, Ke ; Song, Victor ; Chen, Jian ; Yan, Meng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002217. Full description at Econpapers || Download paper | |
| 2022 | Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559. Full description at Econpapers || Download paper | |
| 2021 | Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24. Full description at Econpapers || Download paper | |
| 2022 | Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227. Full description at Econpapers || Download paper | |
| 2022 | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304. Full description at Econpapers || Download paper | |
| 2022 | Infinite Markov pooling of predictive distributions. (2022). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:302-321. Full description at Econpapers || Download paper | |
| 2021 | Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94. Full description at Econpapers || Download paper | |
| 2021 | Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28. Full description at Econpapers || Download paper | |
| 2021 | Flexible Mixture Priors for Large Time-varying Parameter Models. (2021). Hauzenberger, Niko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:87-108. Full description at Econpapers || Download paper | |
| 2022 | Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68. Full description at Econpapers || Download paper | |
| 2022 | High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203. Full description at Econpapers || Download paper | |
| 2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper | |
| 2022 | Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x. Full description at Econpapers || Download paper | |
| 2022 | Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence. (2022). Zhai, Pengxiang ; Liu, Zhen Hua ; Ma, Rufei. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000354. Full description at Econpapers || Download paper | |
| 2022 | Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China. (2022). Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002730. Full description at Econpapers || Download paper | |
| 2022 | Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries. (2022). Brooks, Robert ; Mohsen, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Tanin, Tauhidul Islam. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005187. Full description at Econpapers || Download paper | |
| 2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper | |
| 2023 | Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Hao, Xianfeng ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120. Full description at Econpapers || Download paper | |
| 2021 | Hedging stocks with oil. (2021). Wagner, Niklas F ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319301914. Full description at Econpapers || Download paper | |
| 2022 | Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework. (2022). Suleman, Muhammad Tahir ; Niu, Zibo ; Liu, Yuanyuan ; Zhang, Hongwei ; Yin, Libo. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pa:s0360544221020272. Full description at Econpapers || Download paper | |
| 2022 | The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526. Full description at Econpapers || Download paper | |
| 2021 | VCRIX — A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416. Full description at Econpapers || Download paper | |
| 2022 | Senior official speech attributes and foreign exchange risk around business cycles. (2022). Welch, Robert ; Wang, Jiayu ; ben Omrane, Walid ; Ayadi, Mohamed A. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003240. Full description at Econpapers || Download paper | |
| 2022 | Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320. Full description at Econpapers || Download paper | |
| 2022 | What drives cross-market correlations during the United States Q.E.?. (2022). Vo, Xuan Vinh ; Do, Hung Xuan ; Brooks, Robert ; Yip, Pick Schen. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002721. Full description at Econpapers || Download paper | |
| 2021 | Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets. (2021). Choudhury, Tonmoy ; Campbell, Ross ; Kinateder, Harald. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000325. Full description at Econpapers || Download paper | |
| 2022 | Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model. (2022). Guo, Ranran ; Ye, Wuyi ; Gao, Lingbo. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001258. Full description at Econpapers || Download paper | |
| 2022 | Interdependence, contagion and speculative bubbles in cryptocurrency markets. (2022). Bazan-Palomino, Walter. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003555. Full description at Econpapers || Download paper | |
| 2022 | Safe havens in Islamic financial markets: COVID-19 versus GFC. (2022). Choudhury, Tonmoy ; Djajadikerta, Hadrian Geri ; Hassan, Kabir M ; Kamran, Muhammad. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000417. Full description at Econpapers || Download paper | |
| 2022 | Frequency and severity estimation of cyber attacks using spatial clustering analysis. (2022). Jin, Zhuo ; Chu, Tingjin ; Ma, Boyuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:33-45. Full description at Econpapers || Download paper | |
| 2022 | Outward FDI and exports relation: A heterogeneous panel approach dealing with cross-sectional dependence. (2022). Maza, Adolfo ; Gutierrez-Portilla, Paula. In: International Economics. RePEc:eee:inteco:v:170:y:2022:i:c:p:174-189. Full description at Econpapers || Download paper | |
| 2021 | Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Luc Bauwens has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Luc Bauwens:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 49 |
| 2011 | Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 2011 | Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 2014 | Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 2014 | Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | article | |
| 2011 | Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 2018 | State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | State-space models on the Stiefel Manifold with a new approach to nonlinear filtering.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2018 | State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering.(2018) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 1991 | Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
| 1991 | Bayesian diagnostics for heterogeneity.(1991) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 1991 | The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 5 |
| 1991 | The pathology of the natural conjugate prior density in the regression model.(1991) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 1990 | THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M.. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2000 | The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 181 |
| 2000 | The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 181 | paper | |
| 1989 | BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 4 |
| 2011 | Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 45 |
| 2011 | Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2013 | Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2011 | Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2013 | MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | article | |
| 2011 | Volatility Models In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 26 |
| 2012 | Volatility Models.(2012) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
| 2011 | Volatility models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
| 2013 | Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA. [Citation analysis] | paper | 7 |
| 1994 | Estimating End-Use Demand: A Bayesian Approach. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 18 |
| 1992 | Estimating End-Use Demand : A Bayesian Approach.(1992) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 1994 | Estimating End-use Demand: a Bayesian Approach.(1994) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 1992 | Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2005 | A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 127 |
| 2005 | A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 127 | paper | |
| 2009 | A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 33 |
| 2007 | A component GARCH model with time varying weights.(2007) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2009 | A component GARCH model with time varying weights.(2009) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2007 | A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2006 | A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006. [Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2011 | The Resistible Decline of European Science In: Recherches économiques de Louvain. [Full Text][Citation analysis] | article | 18 |
| 2007 | The resistible decline of European science.(2007) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2011 | The resistible decline of European Science.(2011) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2008 | The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2011 | The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain). [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2011 | The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2021 | DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations In: Cardiff Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 60 |
| 2011 | A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
| 2011 | A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
| 2011 | A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
| 2011 | The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
| 2011 | A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
| 2015 | The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | article | |
| 2013 | Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 14 |
| 2013 | Modeling the dependence of conditional correlations on volatility.(2013) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 2018 | Nonlinearities and Regimes in Conditional Correlations with Different Dynamics In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Nonlinearities and regimes in conditional correlations with different dynamics.(2018) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2020 | Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2020 | Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2020 | Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models.(2020) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2022 | Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2022) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1987 | Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: LIDAM Discussion Papers CORE. [Citation analysis] | paper | 35 |
| 1988 | Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
| 1988 | Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | article | |
| 1992 | Approximate HPD regions for testing residual autocorrelation using augmented regressions In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 1993 | Approximate HPD regions for testing residual autocorrelation using augmented regressions.(1993) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1994 | Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 34 |
| 1996 | Identification restrictions and posterior densities in cointegrated Gaussian VAR system.(1996) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 1994 | Do Art Experts make Rational Estimates of Pre-Sale Prices ? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 1995 | On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
| 1996 | Bayesian Inference on GARCH Models using the Gibbs Sampler In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 108 |
| 1998 | Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 108 | paper | |
| 1998 | Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal. [Citation analysis] This paper has another version. Agregated cites: 108 | article | |
| 1996 | Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M.. [Citation analysis] This paper has another version. Agregated cites: 108 | paper | |
| 1997 | A Gibbs sampling approach to cointegration In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 8 |
| 1998 | Gibbs sampling approach to cointegration.(1998) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 1997 | Bayesian option pricing using asymmetric GARCH In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
| 1997 | Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M.. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 1997 | Modelling interest rates with a cointegrated VAR-GARCH model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 9 |
| 1997 | The logarithmic ACD model: an application to market microstructure and NASDAQ In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
| 1998 | Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
| 1999 | Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 13 |
| 1999 | Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2000 | ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 1999 | Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 1999 | The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 121 |
| 2004 | The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 121 | paper | |
| 2000 | Identifying long-run behaviour with non-stationary data. In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
| 2000 | A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 109 |
| 2004 | A comparison of financial duration models via density forecasts.(2004) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
| 2000 | A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
| 2004 | A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | article | |
| 2004 | A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
| 2002 | A new class of multivariate skew densities, with application to GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 40 |
| 2002 | A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2003 | The moments of Log-ACD models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 22 |
| 2009 | The moments of Log-ACD models.(2009) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2003 | News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 110 |
| 2005 | News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | paper | |
| 2005 | News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | article | |
| 2003 | Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1031 |
| 2006 | Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1031 | paper | |
| 2006 | Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1031 | article | |
| 2006 | Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1031 | article | |
| 2003 | Ranking economics departments in Europe: a statistical approach In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 117 |
| 2003 | Ranking economics departments in Europe: a statistical approach.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 117 | paper | |
| 2003 | Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 117 | article | |
| 2003 | Bayesian clustering of many GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 21 |
| 2007 | Bayesian clustering of many GARCH models.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 2007 | Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
| 2003 | Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 18 |
| 2005 | Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 23 |
| 2006 | Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2005 | Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2006 | Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
| 2008 | Exchange rate volatility and the mixture of distribution hypothesis.(2008) In: Studies in Empirical Economics. [Citation analysis] This paper has another version. Agregated cites: 23 | chapter | |
| 2005 | Bayesian inference for the mixed conditional heteroskedasticity model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 12 |
| 2007 | Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2005 | Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2007 | Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
| 2006 | Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2006 | Intra-daily FX optimal portfolio allocation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
| 2006 | Intra-Daily FX Optimal Portfolio Allocation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2006 | Regime switching GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 21 |
| 2006 | Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 2006 | Regime switching GARCH models.(2006) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 2006 | Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 39 |
| 2007 | Multivariate mixed normal conditional heteroskedasticity.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
| 2006 | Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
| 2007 | Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
| 2006 | General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 19 |
| 2010 | General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2008 | General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2006 | General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2010 | General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2006 | Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 13 |
| 2007 | Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2006 | Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2007 | Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2006 | Modelling financial high frequency data using point processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 100 |
| 2009 | Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
| 2006 | Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
| 2007 | Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
| 2007 | Efficient importance sampling for ML estimation of SCD models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 18 |
| 2009 | Efficient importance sampling for ML estimation of SCD models.(2009) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2007 | Efficient importance sampling for ML estimation of SCD models.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2009 | Efficient importance sampling for ML estimation of SCD models.(2009) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
| 2007 | Theory and inference for a Markov switching GARCH model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 71 |
| 2010 | Theory and inference for a Markov switching Garch model.(2010) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
| 2007 | Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
| 2010 | Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | article | |
| 2007 | Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
| 2007 | Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
| 2009 | On marginal likelihood computation in change-point models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 16 |
| 2012 | On marginal likelihood computation in change-point models.(2012) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2012 | On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
| 2009 | On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2011 | Estimating and forecasting structural breaks in financial time series In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 6 |
| 2011 | Bayesian methods In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Bayesian methods.(2013) In: Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | chapter | |
| 2012 | Computationally efficient inference procedures for vast dimensional realized covariance models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Computationally efficient inference procedures for vast dimensional realized covariance models.(2013) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2012 | Forecasting long memory processes subject to structural breaks In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 11 |
| 2013 | Forecasting a long memory process subject to structural breaks.(2013) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2013 | Forecasting a long memory process subject to structural breaks.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
| 2012 | Dynamic conditional correlation models for realized covariance matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 18 |
| 2014 | Estimation and empirical performance of non-scalar dynamic conditional correlation models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 6 |
| 2016 | Estimation and empirical performance of non-scalar dynamic conditional correlation models.(2016) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2014 | Forecasting comparison of long term component dynamic models for realized covariance matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 15 |
| 2016 | Forecasting comparison of long term component dynamic models for realized covariance matrices.(2016) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2015 | Autoregressive moving average infinite hidden markov-switching models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 19 |
| 2017 | Autoregressive moving average infinite hidden Markov-switching models.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2017 | Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2017 | Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2016 | A dynamic component model for forecasting high-dimensional realized covariance matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 16 |
| 2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
| 2020 | A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2016 | Multiplicative Conditional Correlation Models for Realized Covariance Matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
| 2016 | A New Approach to Volatility Modeling : The High-Dimensional Markov Model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
| 2016 | A new approach to volatility modeling: the High-Dimensional Markov model.(2016) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2019 | DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 2022 | We modeled long memory with just one lag! In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 1995 | Bayesian and classical econometric modeling of time series In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 1996 | Editors introduction. First Riverboat conference on Bayesian econometrics and statistics In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 1999 | Recent developments in the econometrics of financial markets using intra-day data In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 1999 | Trends and breaking points in the Bayesian econometric literature In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 2000 | Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 2000 | Art experts and auctions are pre-sale estimates unbiased and fully informative? In: LIDAM Reprints CORE. [Citation analysis] | paper | 37 |
| 2000 | Art experts and auctions Are pre-sale estimates unbiased and fully informative?.(2000) In: Discussion Papers (REL - Recherches Economiques de Louvain). [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
| 2000 | Art experts and auctions :are pre-sale estimates unbiased and fully informative.(2000) In: ULB Institutional Repository. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
| 2002 | Bayesian option pricing using asymmetric GARCH models In: LIDAM Reprints CORE. [Citation analysis] | paper | 28 |
| 2002 | Bayesian option pricing using asymmetric GARCH models.(2002) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
| 2000 | Bayesian Option Pricing using Asymmetric Garch Models..(2000) In: G.R.E.Q.A.M.. [Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
| 2003 | Asymmetric ACD models: Introducing price information in ACD models In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 48 |
| 2003 | Asymmetric ACD models: Introducing price information in ACD models.(2003) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | article | |
| 2004 | The stochastic conditional duration model: a latent variable model for the analysis of financial durations In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 125 |
| 2004 | The stochastic conditional duration model: a latent variable model for the analysis of financial durations.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | article | |
| 2004 | Econometrics In: LIDAM Reprints CORE. [Citation analysis] | paper | 26 |
| 2004 | Econometrics.(2004) In: Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
| 2004 | Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 15 |
| 2004 | Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
| 2003 | Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods.(2003) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2006 | Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange In: LIDAM Reprints CORE. [Citation analysis] | paper | 5 |
| 2006 | Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange.(2006) In: Monetary and Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 2006 | Stochastic conditional intensity processes In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 44 |
| 2006 | Stochastic Conditional Intensity Processes.(2006) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | article | |
| 2014 | A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models In: LIDAM Reprints CORE. [Citation analysis] | paper | 19 |
| 2014 | A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models.(2014) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2015 | The Contribution of Structural Break Models to Forecating Macroeconomic Series In: LIDAM Reprints CORE. [Citation analysis] | paper | 46 |
| 2011 | The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
| 2015 | The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | article | |
| 2016 | Estimation and Empirical Performance of Non-Scalar DCC Models In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 2016 | Modeling the dependence of conditional correlations on market volatility In: LIDAM Reprints CORE. [Citation analysis] | paper | 10 |
| 2016 | Modeling the Dependence of Conditional Correlations on Market Volatility.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2019 | A new approach: the factorial hidden Markov volatility model In: LIDAM Reprints CORE. [Citation analysis] | paper | 2 |
| 1983 | An export model for the Belgian industry In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 1 |
| 1983 | An export model for the Belgian industry.(1983) In: European Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 1983 | Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 1983 | Posterior moments of elasticities between real wages and unemployment in Belgium : an application of Bayesian inference by Monte Carlo integration.(1983) In: Discussion Papers (REL - Recherches Economiques de Louvain). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1985 | A 1-1 poly-t random variable generator with application to Monte Carlo integration In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 11 |
| 1985 | A 1-1 poly-t random variable generator with application to Monte Carlo integration.(1985) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
| 1991 | The law of large (small?) numbers and the demand for insurance In: LIDAM Reprints CORE. [Citation analysis] | paper | 3 |
| 1990 | THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE..(1990) In: G.R.E.Q.A.M.. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1987 | Intra-industry Specialisation in a Multi-country and Multi-industry Framework. In: Economic Journal. [Full Text][Citation analysis] | article | 88 |
| 2004 | BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Intradaily dynamic portfolio selection In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
| 2004 | Recent advances in Bayesian econometrics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2006 | Causality and exogeneity in econometrics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 1995 | Editors introduction Bayesian and classical econometric modeling of time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1996 | Editors introduction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 1988 | The determinants of intra-European trade in manufactured goods In: European Economic Review. [Full Text][Citation analysis] | article | 12 |
| 2003 | Explaining Adaptive Radial-Based Direction Sampling In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces In: Econometric Institute Research Papers. [Citation analysis] | paper | 0 |
| 1998 | Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces.(1998) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2002 | Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | The Econometrics of Industrial Organization In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2000 | Bayesian Inference in Dynamic Econometric Models In: OUP Catalogue. [Citation analysis] | book | 128 |
| 1987 | Théorie de l’information et diagnostic médical : une analyse coût-efficacité In: L'Actualité Economique. [Full Text][Citation analysis] | article | 0 |
| 2002 | Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2002 | Adaptive Polar Sampling In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 5 |
| 2006 | Editor’s introduction In: Empirical Economics. [Full Text][Citation analysis] | article | 1 |
| 2008 | Editors introduction: recent developments in high frequency financial econometrics In: Studies in Empirical Economics. [Citation analysis] | chapter | 0 |
| 1988 | Inter-industry and intra-industry specialization in manufactured goods In: Review of World Economics (Weltwirtschaftliches Archiv). [Full Text][Citation analysis] | article | 5 |
| 2019 | A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 3 |
| 2005 | High frequency finance In: ULB Institutional Repository. [Citation analysis] | paper | 7 |
| 2007 | High frequency financial econometrics. Recent developments In: ULB Institutional Repository. [Citation analysis] | paper | 40 |
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